September 13, 2022
The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 51.1% in August 2022 from 46.4% the prior month. The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in six major currencies. On a traded notional basis, the percentage of RFR-linked IRD increased to 44.0% of total IRD transacted in August compared to 39.0% the prior month.
Key highlights for August 2022 include:
- RFR-linked IRD DV01 increased to $16.2 billion from $13.7 billion the prior month.
- Total IRD DV01 increased to $31.8 billion from $29.5 billion the prior month.
- RFR-linked IRD traded notional increased to $81.2 trillion from $67.3 trillion the prior month.
- Total IRD traded notional increased to $184.3 trillion compared to $172.8 trillion the prior month.
- The percentage of trading activity in SOFR increased to an all-time high of 57.2% of total USD IRD DV01 in August compared to 51.7% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 99.8% of total GBP IRD DV01.
- JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.
To access interactive charts and export the data, click here.
A whitepaper on the methodology is available here.
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